Algorithm to optimize the quantile criterion for the polyhedral loss function and discrete distribution of random parameters

DOI10.1134/S0005117912010080zbMath1307.90126OpenAlexW2008176871MaRDI QIDQ2261687

A. V. Naumov, Sergey V. Ivanov

Publication date: 13 March 2015

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117912010080

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (9)

The decomposition method for two-stage stochastic linear programming problems with quantile criterion ⋮ Application of the Smooth Approximation of the Probability Function in Some Applied Stochastic Programming Problems ⋮ Stochastic problem of competitive location of facilities with quantile criterion ⋮ Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel ⋮ Variable neighborhood search for stochastic linear programming problem with quantile criterion ⋮ On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem ⋮ Bilevel stochastic linear programming problems with quantile criterion ⋮ On reduction of the multistage problem of stochastic programming with quantile criterion to the problem of mixed integer linear programming ⋮ An extension of the quantile optimization problem with a loss function linear in random parameters

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• Partitioning procedures for solving mixed-variables programming problems
• Relaxations for probabilistically constrained programs with discrete random variables
• Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
• Chance-Constrained Programming

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